Initial Margins
The methodology used to establish Initial Margins for all d-cypha SFE Electricity Futures products is the same for all SFE products.
Initial Margins are set at a level to cover 99% of expected daily price movements (where historical movements in daily futures settlement prices are used as a proxy for expected daily price movements).
The credibility and integrity of the daily settlement prices for the d-cypha SFE Australian Electricity Futures contracts has improved markedly along with the increased volumes, open interest and support from market participants. SFECC will continue to collect and review settlement data to ensure IM levels are consistent with the integrity of the daily settlement prices provided by market participants. As such, the ongoing importance of consistent contributions of bids and offers to the daily settlement process cannot be overstated.
All options traded at SFE are margined by the SFE Clearing Corporation (SFECC) using the Standard Portfolio Analysis of Risk or "SPAN" margining system.
The SFE reviews Initial Margins for the d-cypha SFE Electricity Futures & Cap products monthly.
For access to the SPAN arrays please see this link.
For more information on SPAN please see this link.
Bank Guarantees, Bank Letters of Credit and T-Corp Guarantees
The SFE Operating Rule 2.2.27 (d) specifies a List of Approved Securities that may be used for Initial and Variation Margin payments. Please see the SFE Operating Rules or ask your clearer for more details.
Initial Margin Schedule & Concession Tables
Click here to download the Initial Margin Levels and Inter-Commodity Concessions.